Leading Indicators of Currency Crises

• Main Authors: Yi-Hsuan Tu, 杜怡宣
• Other Authors: Ching-Chun Wei
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/aatx8g

碩士 === 靜宜大學 === 財務金融研究所 === 97 === This research is trying to construct leading indicators for currency crisis by probit model, logit model and binary regression quantile. The empirical results show that the Inflation rate, Stock price index, Import growth rate, Export/GDP, Direct investment abroad, GDP growth rate, Terms of trade changes, Financial derivatives and Domestic credit/GDP have significant effects on the occurrence of currency crisis. The Logit model is greater than the Probit model and the Binary Regression Quantiles with this certain. In this paper, the Financial derivatives and the Direct investment abroad are useful for leading indicators of currency crises in recent years. Indirectness can be found out global financial tsunami is in close relation with these two parameters.